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Feat/minor improvements to backtesting and candles #7029

Merged
merged 20 commits into from
May 20, 2024
Merged

Feat/minor improvements to backtesting and candles #7029

merged 20 commits into from
May 20, 2024

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cardosofede
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@cardosofede cardosofede commented May 15, 2024 •
edited

Before submitting this PR, please make sure:

  • Your code builds clean without any errors or warnings
  • You are using approved title ("feat/", "fix/", "docs/", "refactor/")

A description of the changes proposed in the pull request:
In this PR I changed the way that the backtesting market data provider is initialized so we can reuse the information to execute another run.
Also I fixed the method of fetch candles of kucoin spot.

Tests performed by the developer:

Tips for QA testing:

@cardosofede cardosofede marked this pull request as ready for review May 16, 2024 15:53
@rapcmia rapcmia requested review from rapcmia and nikspz May 20, 2024 07:39
@rapcmia
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rapcmia commented May 20, 2024 •
edited

Test commit 536e8a8d77d2d20411f9ea0183079819e1f994b4

  • Overview of the PR 👀
  • Run tests on binance spot candles
    • download_candles ✅
    • candles_example:
      image
      • The dates seem to be skipping, from 5-19 16:xx then goes to 5-20 8:xx
      • Running for 30mins
        image
        • Timestamps on different intervals are inconsistently updating compared to earlier screenshot
        • Should be the expected behavior displays data of timestamps every 1m, 5m?
        • Another possible issue is binance getting websocket connection closed on logs in different timeframes
        • Running another test from 2/3 attempts in progress
  • Run tests on kucoin spot candles
    • download_candles ❌
      image 
      2024-05-20 16:17:48,651 - 61466 - hummingbot.data_feed.candles_feed.kucoin_spot_candles.kucoin_spot_candles - ERROR - There is no data available for the quantity of candles requested for kucoin_BTC-USDT.
2024-05-20 16:17:48,651 - 61466 - hummingbot.data_feed.candles_feed.kucoin_spot_candles.kucoin_spot_candles - ERROR - Unexpected error occurred when getting historical klines. Retrying in 1 seconds...
Traceback (most recent call last):
  File "/Users/rapcomia/github/hummingbot/7029/hummingbot/data_feed/candles_feed/kucoin_spot_candles/kucoin_spot_candles.py", line 117, in fill_historical_candles
    raise
RuntimeError: No active exception to reraise
      • Change intervals and days_to_download from 3 to 5
      • Tried to play different markets getting same error
      • stop command does not stop the script and continues to return same error
    • candles_examples
      image 
      2024-05-20 17:18:07,296 - 1160 - hummingbot.client.hummingbot_application - INFO - start command initiated.
2024-05-20 17:18:07,329 - 1160 - hummingbot.core.network_iterator - INFO - Network status has changed to NetworkStatus.CONNECTED. Starting networking...
2024-05-20 17:18:07,856 - 1160 - hummingbot.connector.exchange.binance.binance_api_order_book_data_source.BinanceAPIOrderBookDataSource - INFO - Subscribed to public order book and trade channels...
2024-05-20 17:18:07,959 - 1160 - hummingbot.core.data_type.order_book_tracker - INFO - Initialized order book for SOL-USDT. 1/1 completed.
2024-05-20 17:18:08,001 - 1160 - hummingbot.strategy.script_strategy_base - WARNING - binance is not ready. Please wait...
2024-05-20 17:18:08,039 - 1160 - hummingbot.data_feed.candles_feed.kucoin_spot_candles.kucoin_spot_candles - INFO - Network status has changed to NetworkStatus.CONNECTED. Starting networking...
2024-05-20 17:18:08,071 - 1160 - hummingbot.data_feed.candles_feed.kucoin_spot_candles.kucoin_spot_candles - INFO - Network status has changed to NetworkStatus.CONNECTED. Starting networking...
2024-05-20 17:18:08,071 - 1160 - hummingbot.data_feed.candles_feed.kucoin_spot_candles.kucoin_spot_candles - INFO - Network status has changed to NetworkStatus.CONNECTED. Starting networking...
2024-05-20 17:18:08,906 - 1160 - hummingbot.data_feed.candles_feed.kucoin_spot_candles.kucoin_spot_candles - INFO - Subscribed to public klines...
2024-05-20 17:18:08,942 - 1160 - hummingbot.data_feed.candles_feed.kucoin_spot_candles.kucoin_spot_candles - INFO - Subscribed to public klines...
2024-05-20 17:18:08,976 - 1160 - hummingbot.data_feed.candles_feed.kucoin_spot_candles.kucoin_spot_candles - INFO - Subscribed to public klines...
2024-05-20 17:18:10,080 - 1160 - hummingbot.core.rate_oracle.rate_oracle - INFO - Network status has changed to NetworkStatus.CONNECTED. Starting networking...
2024-05-20 17:18:14,350 - 1160 - hummingbot.data_feed.candles_feed.kucoin_spot_candles.kucoin_spot_candles - ERROR - There is no data available for the quantity of candles requested for kucoin_ETH-USDT.
2024-05-20 17:18:14,351 - 1160 - hummingbot.data_feed.candles_feed.kucoin_spot_candles.kucoin_spot_candles - ERROR - Unexpected error occurred when getting historical klines. Retrying in 1 seconds...
Traceback (most recent call last):
  File "/Users/rapcomia/github/hummingbot/7029/hummingbot/data_feed/candles_feed/kucoin_spot_candles/kucoin_spot_candles.py", line 117, in fill_historical_candles
    raise
RuntimeError: No active exception to reraise
2024-05-20 17:18:14,384 - 1160 - hummingbot.data_feed.candles_feed.kucoin_spot_candles.kucoin_spot_candles - ERROR - There is no data available for the quantity of candles requested for kucoin_ETH-USDT.
2024-05-20 17:18:14,384 - 1160 - hummingbot.data_feed.candles_feed.kucoin_spot_candles.kucoin_spot_candles - ERROR - Unexpected error occurred when getting historical klines. Retrying in 1 seconds...
Traceback (most recent call last):
  File "/Users/rapcomia/github/hummingbot/7029/hummingbot/data_feed/candles_feed/kucoin_spot_candles/kucoin_spot_candles.py", line 117, in fill_historical_candles
    raise
RuntimeError: No active exception to reraise
2024-05-20 17:18:14,385 - 1160 - hummingbot.data_feed.candles_feed.kucoin_spot_candles.kucoin_spot_candles - ERROR - There is no data available for the quantity of candles requested for kucoin_ETH-USDT.
2024-05-20 17:18:14,385 - 1160 - hummingbot.data_feed.candles_feed.kucoin_spot_candles.kucoin_spot_candles - ERROR - Unexpected error occurred when getting historical klines. Retrying in 1 seconds...
Traceback (most recent call last):
  File "/Users/rapcomia/github/hummingbot/7029/hummingbot/data_feed/candles_feed/kucoin_spot_candles/kucoin_spot_candles.py", line 117, in fill_historical_candles
    raise
RuntimeError: No active exception to reraise
2024-05-20 17:18:15,358 - 1160 - hummingbot.data_feed.candles_feed.kucoin_spot_candles.kucoin_spot_candles - ERROR - There is no data available for the quantity of candles requested for kucoin_ETH-USDT.
2024-05-20 17:18:15,358 - 1160 - hummingbot.data_feed.candles_feed.kucoin_spot_candles.kucoin_spot_candles - ERROR - Unexpected error occurred when getting historical klines. Retrying in 1 seconds...
Traceback (most recent call last):
  File "/Users/rapcomia/github/hummingbot/7029/hummingbot/data_feed/candles_feed/kucoin_spot_candles/kucoin_spot_candles.py", line 117, in fill_historical_candles
    raise
RuntimeError: No active exception to reraise
      • Script does not work and return same error as for earlier tests
      • Tried to change max_records from 1000,500 and 100 still getting same results

Steps to reproduce:

  • Use utility scripts candles_examples and download_candles

Logs, script and config files:
https://drive.google.com/drive/folders/1V2Pn4TFmPK4I_MYc9yCuH34EARSszo6L

Pending:

  • Requested Nikita to reproduce this issue on development branch

@nikspz
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nikspz commented May 20, 2024 •
edited

Test commit 536e8a8d77d2d20411f9ea0183079819e1f994b4

  • Run tests on binance spot candles

    • candles_example:
      image

      • The dates seem to be skipping, from 5-19 16:xx then goes to 5-20 8:xx
      • Running for 30mins

Crosschecked on dev, not reproduced

Development binance candles
image

Development kucoin spot candles

image

download_candles:

kucoin spot, latest development used default script

  • 5m not supported

image

  • changed to ("INTERVALS", "1m,3m,15m,1h").split(",")
  • Review candles downloaded

image

@cardosofede cardosofede merged commit 71ee587 into hummingbot:development May 20, 2024
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@rapcmia rapcmia mentioned this pull request May 21, 2024
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@fengtality fengtality fengtality approved these changes

@rapcmia rapcmia Awaiting requested review from rapcmia

@nikspz nikspz Awaiting requested review from nikspz

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@cardosofede @rapcmia @nikspz @fengtality